Desiccation is a commonly stressful situation experienced by sea cucumber during transportation without/less water. The present study was conducted to investigate the effects of aerial exposure on the survival, oxidative damage, antioxidant capacity, immune-related response and gene expression of Apostichopus japonicus at different low temperatures. After acclimation, sea cucumbers were randomly divided into 3 groups, which were exposed to 5 °C, 10 °C and 15 °C in the closed laboratory condition, respectively. Each group has three parallel replicates. During the experiment, coelomic fluid and respiratory tree of A. japonicus were sampled at the time points of 0, 3, 6, 12, 24 and 48 h post-desiccation for further analysis. The results showed that the survival rates of sea cucumber significantly decreased as time prolonged, and those of 5 °C at 6–48 h of desiccation were significantly higher than 15 °C. Most oxidative damage parameters (e.g., O2− production, MDA, LPO and PC contents) significant increased after 6–12 h of desiccation. Antioxidant enzyme activities and T-AOC in coelomic fluid firstly increased and then decreased during aerial exposure, indicating that sea cucumber could adjust antioxidant defense to reduce the concentrations of ROS and MDA as a strategy for protecting organisms from oxidative damage in the early stage (0–6 h) of desiccation. The relative expression levels of Hsp90 and Hsp70 mRNA in respiratory tree of sea cucumber exhibited similar rise-fall trends with antioxidant parameters, while immune enzyme activities of ACP, AKP, LSZ and T-NOS, and gene expression of TLR, Rel and p105 all significantly decreased as time prolonged. Overall, low temperature postponed the process of ROS formation and the depression of antioxidant and non-specific immune responses of sea cucumber within a certain extent, which implied that it might play a positive role in improvement of desiccation tolerance. This study not only contribute to better understand the adaption mechanisms of A. japonicus to desiccation stress, but also provide valuable information for sea cucumber culture and transportation.